In the literature on financial contagion, the possibility to deal only with imprecise information about the overall interbank exposures and the implications in the analysis of the stability of the financial system seem to be a relevant problem. In particular, previous literature has shown that fuzzy data arise naturally in this framework and turn to be tractable from the computational point of view. The present paper generalizes the well known fictitious default algorithm to the fuzzy setting, providing an existence result for the corresponding fuzzy fixed points, the convergence of the algorithm to fixed points, an implementation of the algorithm in MATLAB and numerical simulations.
On the fictitious default algorithm in fuzzy financial networks
De Marco G.
;Donnini C.;Gioia F.;Perla F.
2020-01-01
Abstract
In the literature on financial contagion, the possibility to deal only with imprecise information about the overall interbank exposures and the implications in the analysis of the stability of the financial system seem to be a relevant problem. In particular, previous literature has shown that fuzzy data arise naturally in this framework and turn to be tractable from the computational point of view. The present paper generalizes the well known fictitious default algorithm to the fuzzy setting, providing an existence result for the corresponding fuzzy fixed points, the convergence of the algorithm to fixed points, an implementation of the algorithm in MATLAB and numerical simulations.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
